Integrated Non-Factorized Variational Inference

@inproceedings{Han2013IntegratedNV,
  title={Integrated Non-Factorized Variational Inference},
  author={Shaobo Han and Xuejun Liao and Lawrence Carin},
  booktitle={NIPS},
  year={2013}
}
We present a non-factorized variational method for full posterior inference in Bayesian hierarchical models, with the goal of capturing the posterior variable dependencies via efficient and possibly parallel computation. Our approach unifies the integrated nested Laplace approximation (INLA) under the variational framework. The proposed method is applicable in more challenging scenarios than typically assumed by INLA, such as Bayesian Lasso, which is characterized by the non-differentiability… CONTINUE READING